Smart, low lag, data smoother
Less noise + better timing = higher profits
Have you noticed how moving averages add some lag (delay) to your signals? ... especially when price gaps up or down in a big move, and you are waiting for your moving average to catch up? Wait no more! JMA eliminates this problem forever and gives you the best of both worlds: low lag and smooth lines.
|What Is JMA ?|
Ideally, you would like a filtered signal to be both smooth and lag-free. Lag causes delays in your trades, and increasing lag in your indicators typically result in lower profits. In other words, late comers get what's left on the table after the feast has already begun.
That's why investors, banks and institutions worldwide ask for the Jurik Research Moving Average (JMA). You may apply it just as you would any other popular moving average. However, JMA's improved timing and smoothness will astound you.
The jagged gray line in the chart simulates price action that begins in a low trading range, then gaps to a higher trading range. Since no one likes waiting on the sidelines, a perfect noise reducing filter (green line) will move smoothly along the center of the first trading range and then jump to the center of the new trading range almost immediately.
This chart shows how modern moving averages are getting ever closer to the performance of an ideal noise reduction filter. The best performer is still JMA.
JMA AS A PROXY FOR PRICE
The first advantage to having a low-lag, low-noise moving average, is that you can use it as a "proxy" to replace the price time series. To see the value of using JMA's up/down trend to determine whether the market is rising or falling, CLICK HERE.
JMA VS. EMA
This chart compares JMA to an exponential moving average (EMA) with similar smoothness. Note how poorly EMA tracks fast price movement. In contrast, JMA smoothes prices while tracking the chart's rapid up/down gapping action. With JMA, you can apply your trading strategies to a more accurate picture of price action.
LONG TERM CROSSOVER ANALYSIS
In this chart, the top line represents one-half year of price. The second (green) pair of lines were produced by JMA. The bottom (orange) pair by the classical exponential moving average. If you were to trade on long term trends by placing a "buy" signal whenever the faster line crosses over the slower one, JMA would signal trades up to TWO WEEKS EARLIER than the classical method!
SHORT TERM CROSSOVER ANALYSIS
Trade strategy developers are all too familiar with the dilemma of using moving averages in short term trading. Smooth lines are too slow (producing late trades) and fast lines are too jagged (producing excessive trades). Both late and excessive trading will devour profits.
This chart shows how using JMA can eliminate excessive trades while maintaining timely signals.
JMA not only allows you to select "smoothness", but you can also fine tune with its PHASE setting. PHASE lets you customize a trade-off between lag and overshoot, giving you greater control over JMA's behavior. We illustrate this in the following example.
We created two oscillators: a MACD (solid purple line) made by taking the difference between two JMA values, and a trailing JMA of the MACD (dashed white line). Trades were triggered when these two lines crossed. With optimized parameter settings for JMA lengths and phase, we attained buy and sell signals as shown.
To see TradeStation code that produced these crossover lines, CLICK HERE.
See JMA on .
See how Jurik's AMA (an earlier version of JMA) was used in a system that forecasts a MACD oscillator on D-Mark futures. For details, see Futures Magazine, May 1996, p44-48.
See how using JMA to replace the standard moving averages inside classic indicators can improve performance. We noticed outrageous improvement by modifying the classic DMI in this way. Performance is so good, we named the modified version "DMX" and gave it a separate .
Learn how one user applies JMA as part of his trading strategy. Right-click on .
|Comparisons + Lab Results|
Based on years of military research that used computers to track moving targets, JMA is a powerful adaptive tracker that can smooth time series data with very small lag, no overshoots and no oscillations. The algorithm is stable and avoids the complexities of neural networks. JMA delivers the best all around performance for smoothness, accuracy and timeliness.
JMA performs BETTER THAN OTHER SOPHISTICATED METHODS, including ...
- Kalman's g, g-h, g-h-k filters, with or without fading memory
- Savitzky-Golay filters, with or without fading memory
- Kaufman's adaptive moving average (KAMA)
- Chande's Variable Index Dynamic Average (VIDYA)
- Double Exponential Moving Average (DEMA)
- Triple Exponential Moving Average (T3)
- Brown's Modified Moving Average (MMA)
- Ehler's Modified Optical Elliptical Filter (MEF)
- Ehler's Symmetrically weighted FIR filter
- Hull Moving Average (HMA)
Go here for more .
Download comprehensive , in a Microsoft Excel spreadsheet.
JMA is FAST. With a 1.7 GHz processor, JMA
can rip through 1,000,000 points in only 3.3 seconds!!
Download your own on one million data points. Check Test Requirements listed below!
- Test Requirements:
- JMA ("DL" version) already installed on your computer.
- Microsoft Excel (version 97 ... 2003) already installed on your computer.
TradeStation -- MultiCharts
eSignal -- Investor/RT -- NeoTicker -- Trade Navigator -- NinjaTrader -- Market Delta -- Extreme Charts
AmiBroker - Neoticker - NeuroShell - Wavewi$e - Tradecision - Trading Solutions - Matlab
Microsoft EXCEL (97, 2000-2003, XP)
DLL (for software programmers)
The JMA software package includes
For more details on JMA, download our illustrated PRODUCT GUIDE.
Download our TECHNICAL REPORTS. Lots of charts and comparisons.
Read our CUSTOMER's LETTERS. See what others have to say.
Read our FREQUENTLY ASKED QUESTIONS. For answers to technical issues.
JMA is an
indicator, not a trading system.
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